On Mon, 2008-01-07 at 06:10 -0800, Yomi wrote:
> I have added a BS Quanto Process.
> Moreorless I extent BlackScholesMertonProcess with few new arguments.
> I have overloaded the drift (to take into account the Quanto effect) and the
> apply functions.
> When I launch a MC simulation, the x0[] array values (so the fixings at the
> nodes) becomes very negatives.
> Should I overload any other methods (like evolve) to make it work?
No, I don't think so---drift and apply should be enough. As a matter of
fact, I think drift alone should be enough. Are you sure you had to
overload apply? How did you do it?
Luigi
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